Research of Building Intelligent Investment Decision Mode for Investment Portfolio — Using Taiwan Electronic Stock as an Example

Wen-Rong Jerry Ho (), C. H. Liu () and H. W. Chen
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Wen-Rong Jerry Ho: Department of Banking & Finance, Chinese Culture University, 55, Hwa-Kang Road, Yang-Ming-Shan, Taipei 111, Taiwan
C. H. Liu: Department of Information Management, Kainan University, Luchu Shiang, Taoyuan 338, Taiwan
H. W. Chen: Taiwan Cheer Champ Co. Ltd., 11F, 175, Sec. 1, Ta Tung Road, ShiChih, Taipei, Taiwan

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2010, vol. 13, issue 04, 621-645

Abstract: This research uses all of the listed electronic stocks in the Taiwan Stock Exchange as a sample to test the performance of the return rate of stock prices. In addition, this research compares it with the electronic stock returns. The empirical result shows that no matter which kind of stock selection strategy we choose, a majority of the return rate is higher than that of the electronics index. Evident in the results, the predicted effect of BPNN is better than that of the general average decentralized investment strategy. Furthermore, the low price-to-earning ratio and the low book-to-market ratio have a significant long-term influence.

Keywords: Back-propagation neural network; investment portfolio; sliding window; stock selection strategy (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1142/S0219091510002104

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